标题: Implied forward rates [打印本页]

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作者: towardsutopia21    时间: 2011-7-11 18:44     标题: Implied forward rates

s1- 10%
s2 - 11%
s3- 12%

base on this data, the 2- year forward rate on eyear from now is closest to?

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作者: homie    时间: 2011-7-11 18:44

Solve for x (I'm too lazy):

1.10*x^2 = 1.12^3

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作者: marsilni    时间: 2011-7-11 18:44

i thought the forumla is:


(1 + 1f2) = (1+s1) + (1 + S2) ^2

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作者: pacmandefense    时间: 2011-7-11 18:44

The answer is [ (1.12)^3 / (1.1) ] ^ (1/2) = 1.13

So 2f1 = 13%.

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作者: siavosh    时间: 2011-7-11 18:44

Approximately (12x3 - 10)/2 = 13 8)

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